We examine whether divestments by the NGPF-G, the world's largest ethical investor, push companies to become more socially responsible and find that the exclusions are associated with lower CO2 emissions, and the effects are more pronounced for firms located in high- climate-awareness countries. The exclusions also affect real investment decisions of the affected firms as the excluded firms increase capital expenditure and research and development expenses to reduce their carbon footprints after the exclusion. The changes in the behavior of the affected firms are more pronounced after the adoption of the SDGs in 2015, which ushered in an era of increased environmental awareness and efforts to mitigate climate risks. Our results show that exclusions by NGPF-G are not opportunistic virtue signaling actions taken by the Fund, but they compel the excluded firms to become more socially responsible. Our results are robust to controlling for industry factors and correcting for potential omitted variable bias.